Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0027 |
| Annualized Std Dev | 0.1449 |
| Annualized Sharpe (Rf=0%) | -0.0185 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4818.0000 |
| NAs | 1.0000 |
| Minimum | -0.1216 |
| Quartile 1 | -0.0031 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0035 |
| Maximum | 0.2164 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0091 |
| Skewness | 1.9338 |
| Kurtosis | 88.8030 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0064 |
| Gain Deviation | 0.0076 |
| Loss Deviation | 0.0078 |
| Downside Deviation (MAR=210%) | 0.0114 |
| Downside Deviation (Rf=0%) | 0.0064 |
| Downside Deviation (0%) | 0.0064 |
| Maximum Drawdown | 0.5629 |
| Historical VaR (95%) | -0.0109 |
| Historical ES (95%) | -0.0208 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2006-10-04 | 2008-10-10 | NA | -0.5629 | 3640 | 509 | NA |
| 2002-01-30 | 2004-05-10 | 2005-07-12 | -0.1592 | 869 | 574 | 295 |
| 2005-09-08 | 2005-11-03 | 2006-01-20 | -0.0676 | 93 | 41 | 52 |
| 2006-03-24 | 2006-07-13 | 2006-08-10 | -0.0649 | 97 | 77 | 20 |
| 2006-01-25 | 2006-02-14 | 2006-03-23 | -0.0332 | 41 | 15 | 26 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | 0 | 0 | -2 | 0.2 | 0.4 | 1.2 | 0.3 | 0 | -0.7 | -0.1 | -0.2 | 0.5 | -0.4 |
| 2003 | 0.1 | 0.4 | 0.7 | 0.4 | 0 | -0.8 | -0.3 | 0.3 | -1.4 | 0.2 | 0 | 0.3 | -0.2 |
| 2004 | -0.3 | 0.3 | 0.1 | 0 | 0.5 | 0.2 | 1 | -0.6 | 0.1 | 0.4 | -0.5 | 0.7 | 2 |
| 2005 | 0.1 | -0.1 | -0.1 | 0.4 | -0.5 | 0 | 0.3 | 0.4 | 0.1 | 0.4 | 0.5 | -0.8 | 0.8 |
| 2006 | -0.7 | -0.4 | 0.1 | 0.2 | 0.5 | 0.4 | 0.5 | 1 | 0.1 | -0.3 | 0.5 | 1.2 | 3 |
| 2007 | 0.1 | 0.1 | 0.1 | 0.1 | -0.1 | 0.4 | -0.7 | -0.1 | 0.2 | -0.2 | 0.7 | 0.9 | 1.5 |
| 2008 | -0.1 | -1.3 | 0.9 | -0.1 | 0 | -0.7 | 0.1 | -0.1 | 0.8 | -3.2 | 0.1 | 0.6 | -2.9 |
| 2009 | -0.4 | 0.7 | 0.6 | 0.6 | 0 | -0.5 | 0.2 | 0.1 | -0.4 | 1.5 | 0.3 | 0.3 | 3 |
| 2010 | -0.1 | 0.5 | -0.7 | 0.1 | -0.1 | 0.1 | 0.7 | -1 | -0.1 | 0 | -2.1 | 2.7 | 0.1 |
| 2011 | 0.1 | -0.3 | 0.5 | 0.5 | -0.5 | 0.7 | 1.2 | -0.2 | 0.1 | 0.6 | -0.1 | -0.2 | 2.4 |
| 2012 | -1.2 | 0.3 | 0 | 0.1 | -0.3 | 0.3 | -1.2 | 0.4 | 0.7 | 0.4 | 0.1 | -0.4 | -0.9 |
| 2013 | -0.4 | -0.3 | 0.5 | -0.6 | -1.7 | 0.5 | -0.4 | -0.2 | 0.1 | -1.1 | 0.2 | -1.3 | -4.6 |
| 2014 | 0.2 | 0.2 | -0.1 | 0.6 | 0 | -0.1 | 0.9 | 0.3 | -0.4 | -0.4 | 0 | -0.1 | 1 |
| 2015 | 0.3 | 0.9 | -0.5 | 0 | 0.2 | -0.2 | 0.4 | 0.1 | 0.1 | 0.1 | 0.5 | 0.7 | 2.5 |
| 2016 | 0.3 | -0.1 | -0.6 | 0.2 | 0 | 0.4 | -0.2 | 0 | -0.4 | 0.6 | -1.3 | -0.3 | -1.4 |
| 2017 | -0.1 | -0.6 | 0.5 | -0.3 | 0.6 | 0.4 | 0.8 | 0 | 0 | 0.1 | 0.1 | -0.1 | 1.5 |
| 2018 | -1 | -0.5 | 0.1 | 0.7 | 0.1 | -0.6 | 0.2 | 0.3 | 0 | -0.3 | -0.4 | 1.3 | -0.1 |
| 2019 | 0.5 | 0 | 0 | 0 | 0 | -0.1 | -0.1 | -0.1 | 0.1 | 0.1 | 0.2 | -0.6 | 0.1 |
| 2020 | 0 | -1 | -1.6 | 0.6 | 0.1 | 0.7 | -0.1 | 0.6 | -1.6 | -0.4 | -0.1 | 1.9 | -1 |
| 2021 | -0.2 | -0.1 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2002-01-29 15.0 SPY 110. -0.0314 -0.0186 -0.0498 -0.0004 -0.189 -0.109 NA <NA> NA NA NA
2 2002-01-30 15 SPY 112. 0.0144 -0.012 -0.0356 0.0411 -0.180 -0.113 NA <NA> NA NA NA
3 2002-01-31 15 SPY 113. 0.0117 -0.0035 -0.0098 0.0661 -0.168 -0.0916 NA <NA> NA NA NA
4 2002-02-01 15 SPY 113. -0.0047 -0.0079 -0.0249 0.0647 -0.171 -0.111 NA <NA> NA NA NA
5 2002-02-04 15 SPY 110. -0.0249 -0.0352 -0.0598 0.0123 -0.196 -0.140 NA <NA> NA NA NA
6 2002-02-05 15.0 SPY 109. -0.0062 -0.0101 -0.0718 -0.0007 -0.208 -0.140 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
